uploads///Quarterly Average Return Volatility of Intraday Outperformers

In-Depth Analysis of the FEZ and Its Constituents


Oct. 27 2015, Published 9:08 a.m. ET

In-Depth analysis

As mentioned earlier, out of the 52 constituents of the fund, 50 stocks gave positive returns on October 22. This lead the FEZ (SPDR Euro Stoxx 50 ETF) to close at $36.6, up by 1.4% from the previous trading session.

The individual return of telecommunication Stocks like Orange (ORAN) and Telefonica (TEF ) were good because the low interest rate indicates lower interest expenses for these companies.

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EBITDA, Nokia’s negative returns

The EBITDA[1. earnings before interest, tax, depreciation, and amortization]–to–trailing-12-month interest expense ratio of the telecommunication sector is generally low because of high interest expense. If there will be no hike in the interest rate, then interest expense for telecommunication stocks will not change and will not hamper the stock’s profitability.

Only Nokia (NOK) gave a negative return of -2.3% due to an internal issue within the company. Nokia’s board of directors had repeated its recommendation to the shareholders to vote for the proposals made at the Extraordinary General Meeting, or EGM. A proposal has been made for some amendment to the Articles of Association of the company.

3Q15 quarterly mean return of intraday outperformer

For 3Q15, Orange (ORAN), was the outperformer with an intraday return of 7.5%. The average return of the stock was ~ 0.06%, and the volatility was ~11.4%. The average return shows the mean of daily return in C3Q15. Volatility shows the fluctuation over the average return.

The graph above shows the quarterly mean return and volatility of intraday outperformers.

In 3Q15, the intraday return of the Telefonica (TEF) was 5.3%. The mean return for the stock was around -0.20%, and the volatility was ~9.8%.

In 3Q15, RWE gave an intraday return of 4.9%. Alo, the mean return for the stock was around -0.60%, and the volatility was ~24.6%.

Among the three intraday outperformers, the mean return to volatility ratio was highest for Orange (ORAN). The ratio explains the return earned per unit of total risk on a daily basis for 3Q15.

In the next part, we’ll discuss how the FEZ ETF performed on October 22 with its peer ETFs, ACWI and SPY.


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